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cika · 2022年11月11日

请问B选项是什么意思？怎么理解B选项

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000021

问题如下：

Which of the following statement regarding factor-based asset allocation is least appropriate?

选项：

A.

Factors are typically based on market premiums and anomalies

B.

A common way to construct factors is self-financing investment.

C.

Factors are typically different from the fundamental or structural factors used in multi-factor models.

解释：

C is correct

考点：factor-based asset allocation

解析：Fama-French三因素模型是典型的factor-based asset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（fundamental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero dollar investment，例如：Size factor return=Small-cap stock return−Large-cap stock return。

请问B选项是什么意思？怎么理解B选项

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lynn_品职助教 · 2022年11月12日

嗨，努力学习的PZer你好：


这道题考察的是factor-based asset allocation，AA的reading5，框架图（强化班讲义）第9页，原版书第一本第324页。


B选项：构建risk factor的方法是self-financing investment。这句话可以当做结论记一下，在基础班讲义142页。


self-financing investment，又叫zero (dollar) investment，通过买入和卖空等量资产而产生的净价值为零的投资组合。


例如，想要构建size factor，就可以short large-cap stock，拿到cash，再用这些钱去long small-cap stock，这两个头寸净价值为零同时剥离出了size这个风险因子。

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努力的时光都是限量版，加油！

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